>Admittedly, this challenge far oversimplifies the depth of the quantitative problems Jane Streeters work on daily, and Jane Street is happy with the performance of its existing trading model for this particular question. However, there’s nothing like a good puzzle, and this challenge will hopefully serve as a fun introduction to a type of data science problem that a Jane Streeter might tackle on a daily basis.
Sounds like it's just for fun/recruiting rather than trying to crowd source new strategies -- I'm sure if they were looking to crowd source strats they'd pay a whole lot more than 40k for first place
Having said that you also want to find the (vastly more in number) people who can take someone else's idea and actually implement it.
To get one candidate and come out superior, acceptance rate should be 1%. (i.e. 99 failures). But if there are 50 leads from the program, and you convert a fifth, that's 10 candidates for a cost / successful recruit of $10k which means you have 10% acceptance rate to break even.
Hmm, back of the envelope seems to do all right as a strat. Relatively cheap. I recall the last time we were hiring, we projected cost per hire at $35k with the bulk of that actually being the recruiter referral fee.
According to https://news.efinancialcareers.com/ch-en/307393/jane-street-... "Last year, Jane Street's graduate hires straight from college were said to be paid a $200k annual base salary, plus a $100k sign-on bonus, plus a $100k-$150k guaranteed performance bonus."
According to random people in reddit https://www.reddit.com/r/cscareerquestions/comments/69k0ap/d... "somebody said they got an offer from JS for $150k + $50k/yr "performance"-based bonus"
Both may be true.
Any alpha that is not fully correlated to existing alpha is worth its weight in gold for an organization with the size, sophistication and complexity of JS. That's part of the reason why efforts such as 2Sigma's Alpha Studio exist: https://alphastudio.com/
hell, the thing about us hackers is I can KNOW it's a dud deal, yet part of me still wants to give it a go because it's a problem and it's right there!
If you want to work at Jane Street, go work for Jane Street. If you want to build your own models and run your own shop, the tools exist for you to do that without Jane Street (although there’s probably some amount of value learning the ropes there while they pay you, if that’s your thing).
My comments in thread are primarily around not having someone’s work exploited by sophisticated hedge/prop trading/investment professionals, which I’ve seen happen more than once, and for which you have no recourse.
Jane Street is a high frequency firm. In this domain execution & infrastructure matters as much if not more than your algo secret sauce.
What good is kagglers' favorites giant boosted bagged lightgbm/xgboost/neural ensembles which will take seconds to predict, when my FPGA or ASIC running in the same rack as exchange's matching engine can make a million trades in the meantime with a much simpler strategy involving nothing beyond freshman math (take a cue in XTX Markets' firm name, for example)
And in the longer timeframes, the edge is more often than not in the data than training algo.
A portion of the profits these market makers collect are rebated to RH, which, alongside cash sweep and RH Gold, comprise the bulk of their revenue.
RH makes money by keeping trade volumes and user engagement high. They don't care if you make or lose money on their platform, as long as the trades keep happening.
Market prediction is low signal-to-noise problem, what's much more likely the contest will be an exercise in overfitting and the final shake up will be yuuuge.
I understand that there are more models being thrown at the solution space, but if you think about people at jane street, while they don't have 3000 employees working on these, they've got a few hundred, and then if you think about the _time_ they spend on (the real, not this kaggle competition simplified stuff) models, I think there's a good chance that they'll have a significant advantage in man-hours (it's a full time job).
Also, while there is a high standard to people doing kaggle competitions, I think you can easily discard >90% of them as not being super competitive, then your 3000 models becomes 300, and those 300 have less than 1/3 of the time spent on them that jane street-ers are spending on their models.
(I realise it's not an apples to apples comparison, as the models they're working on are different since this is a toy example, but you said "will outperform anything that Jane Street _could_ come up with)
If you prove such a model out, get licensed (SEC, FINRA) and start soliciting to manage assets.
Disclaimer: Not investment advice. Not a lawyer, not your fiduciary.